Transcription of Margin Requirement Examples for Sample Options ... - Cboe
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Margin Requirement Examples for Sample Options ... - Cboe
Equity Options Strategy1 Strategy-based Margin Requirement1 New Portfolio Margin Requirement1 Stock Index/ETF Options Strategy2 Strategy-based Margin Requirement2 Portfolio Margin Requirement2 Short CallShort 100 IBM April 100 Calls @ $172,760 $115,429 Short 100 SPX April 1460 Calls @ $2,088,685 $654,514 Short PutShort 100 IBM April 100 Puts @ $195,460 $137,527 Short 100 SPX April 1460 Puts @ $2,176,785 $948,203 Covered CallLong 10,000 IBM @ Short 100 IBM April 100 Calls @ $471,850 $129,804 Long 100,000 SPDRS @ Short 100 SPX April 1460 Calls @ $7,048,400 $948,342 Protective PutLong 10,000 IBM @ Long 100 IBM April 95 Puts @ $498,850 $37,538 Long 100,000 SPDRS @ Long 100 SPX April 1450 Puts @ $7,452,200 $272,402 Synthetic LongLong 100 IBM April 100 Calls @ Short 100 IBM April 100 Puts @ $212,260 $154,313 Long 100 SPX April 1460 Calls @ Short 100 SPX April 1460 Puts @ $2,393,385 $1,162,261 Risk ReversalLong 100 IBM April 95 Puts @ Short 100 IBM April 105 Calls @.
1The equity options strategies use the current strategy methodology and the proposed portfolio methodology (a/o close of Feb. 23, 2007).Note that the strategy methodology uses a 20% market move while the portfolio methodology uses a 15% market move. Note that SPDRS (SPY) receive index option treatment (-8% / +6% market move) and not the equity security market move of +/-15%.
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